scholarly journals The Coming Wave: Where Do Emerging Market Investors Put Their Money?

2019 ◽  
Vol 55 (4) ◽  
pp. 1369-1414 ◽  
Author(s):  
G. Andrew Karolyi ◽  
David T. Ng ◽  
Eswar S. Prasad
Keyword(s):  
Emerging Market ◽  
Explanatory Power ◽  
Foreign Market ◽  
Trade Flows ◽  
Foreign Country ◽  
Portfolio Holdings ◽  
Level Data ◽  
International Portfolio ◽  
Information Advantage ◽  
Parent Companies

Using country- and institution-level data, we find that the “coming wave” of emerging- market (EM) investors systematically over- or underweight their equity portfolio holdings in a way that reflects the influences of past capital and trade flows from a foreign country. We interpret this finding as support for van Nieuwerburgh and Veldkamp (2009) information endowment hypothesis. Strong past capital and trade flows create an information advantage that leads EM investors to disproportionately overweight a given foreign market, even relative to developed market investor counterparts. We also pursue predictions of the information endowment hypothesis by constructing novel information-advantage proxies based on relationships among investment firms and the headquarters of their parent companies. These proxies also offer reliable explanatory power for international portfolio allocations.

Why Don't Asians Invest in Asia? The Determinants of Cross-Border Portfolio Holdings

2009 ◽  
Vol 8 (3) ◽  
pp. 228-246 ◽  
Author(s):  
Alicia García-Herrero ◽  
Philip Wooldridge ◽  
Doo Yong Yang
Keyword(s):  
Financial Markets ◽  
Financial Integration ◽  
Emerging Market ◽  
Trade Flows ◽  
Asia Pacific ◽  
Portfolio Holdings ◽  
Cross Border ◽  
Advanced Industrial Economies ◽  
European Economies ◽  
Source Countries

This paper seeks to understand why Asian foreign investment is concentrated in financial markets outside of the region instead of in Asian markets. We analyze empirically the geographical composition of the cross-border portfolio holdings of more than 40 source countries. We compare these benchmark results with those of four subgroups: advanced industrial economies, emerging market economies, European economies, and Asia-Pacific economies. The lack of liquidity in Asian financial markets turns out to be one reason why Asian capital is invested predominantly outside the region, notwithstanding the short distances and large trade flows between Asian economies. Initiatives to improve the liquidity of Asian financial markets, therefore, may be a useful way to stimulate financial integration within the region.

scholarly journals Information related service trade within firms: evidence from firm-level data in Germany

2021 ◽  
Author(s):  
Kurt A. Hafner ◽  
Jörn Kleinert
Keyword(s):  
Multinational Firms ◽  
Economies Of Scope ◽  
It Services ◽  
Firm Level ◽  
It Service ◽  
Level Data ◽  
Related Service ◽  
Foreign Affiliates ◽  
Knowledge Intensive ◽  
Parent Companies

AbstractMulti-unit firms have productivity advantages over competitors because of their use of a non-rival asset—firm-specific knowledge—in several units. Using knowledge-intensive services leads to economies of scope in production by multi-unit firms. Such headquarter are usually supplied by parent companies and serve to link different firm units. Headquarter services are difficult to quantify in statistics or surveys, except when they cross-borders and the exchange of services between MNEs and their offshore subsidiaries becomes apparent. This study therefore focuses on IT service imports to explain productivity differences among foreign affiliates of multinational firms in Germany. The authors base the analysis on the population of foreign multinational firms active in Germany and analyze what effect the import of IT services has on their productivity. They find that IT headquarter service flows have significant impacts on foreign affiliates’ productivity in general and US affiliates in particular. As the average IT-service flows (per firm and partner) from parent countries are significantly higher for US affiliates than non-US affiliates, they conclude that the import of IT services from the parent-company is a source of the productivity advantages of US affiliates in Germany.

Extreme price moves: an INGARCH approach to model coexceedances in commodity markets

2020 ◽  
Author(s):  
Bernardina Algieri ◽  
Arturo Leccadito
Keyword(s):  
Goodness Of Fit ◽  
Emerging Market ◽  
Explanatory Power ◽  
Commodity Markets ◽  
Credit Spread ◽  
Market Demand ◽  
Factors Affecting ◽  
Monday Effect ◽  
Tail Events ◽  
Weather Anomalies

Abstract This study presents a set of integer-valued generalised autoregressive conditional heteroskedastic models to identify possible transmission channels of joint extreme price moves (coexceedances) across a group of agricultural commodities. These models are very useful to identify factors affecting joint tail events and they are superior in terms of goodness of fit to models without autoregressive components. Emerging market demand, crude oil, exchange rate, stock market conditions and credit spread explain extreme joint returns. Psychological factors and the Monday effect play a role in affecting extreme events, while weather anomalies (El Niño and La Niña episodes) do not have explanatory power.

Overcoming economic liminality: internationalization of B2B SME’s from a small emerging economy

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Barney G. Pacheco ◽  
Syed Akhter
Keyword(s):  
Emerging Market ◽  
Foreign Market ◽  
Emerging Economy ◽  
Foreign Market Entry ◽  
Valuable Insight ◽  
Content Type ◽  
Qualitative Research Design ◽  
Theoretical Perspectives ◽  
Internationalization Strategies ◽  
The Impact

Purpose Current research on small to medium enterprise (SME) internationalization has generated valuable insight but continues to overlook the activities of business-to-business (B2B) SMEs located in small emerging economies. This study aims to fill this gap by testing the applicability of the ownership, location and internalization (OLI) framework to understand the internationalization strategies of small B2B firms in Trinidad and Tobago, a small emerging Caribbean economy. Design/methodology/approach The study used a qualitative research design, which involved in-depth interviews with senior executives of three firms in the B2B sector who were knowledgeable about their firm’s internationalization process. Thematic analysis was then used to understand the motivations and strategies underpinning the internationalization approach adopted by each firm. Findings Contrary to the stereotype of SMEs in emerging markets as fragile enterprises, there is evidence that firms exploited the development of innovative products and processes to facilitate foreign market entry and expansion. Additionally, firms overcame resource limitations by relying on governmental ties and leveraging networking opportunities. The findings also call attention to the impact of organizational learning and the role of knowledge as a dynamic capability. Originality/value Both the context of the study and the application of the OLI framework contributes to the extant literature by yielding substantive insights into the internationalization strategies of B2B firms in a small emerging economy. The findings further highlight how the OLI framework can be supplemented by other theoretical perspectives to better understand internationalization by emerging market SMEs.

scholarly journals Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

scholarly journals A comparative study of the performance of Saudi mutual funds

2016 ◽  
Vol 13 (4) ◽  
pp. 89-102 ◽  
Author(s):  
Ahmed El-Masry ◽  
Dalia A. El-Mosallamy
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Fund Performance ◽  
The Other ◽  
Equity Fund ◽  
Evaluation Measures ◽  
Market Portfolio

This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.

Fund Manager Performance in Emerging Market: Factor Specialisation and Financial Crisis Impact

2018 ◽  
Vol 17 (1) ◽  
pp. 130-158
Author(s):  
Giuseppe Galloppo ◽  
Mauro Aliano
Keyword(s):  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Tracking Error ◽  
Active Management ◽  
Market Model ◽  
Good Representation ◽  
Local Factor ◽  
Equity Funds ◽  
Fama And French

In the branch of literature dealing with analysis of the consistency of management styles, this article investigates the relation between portfolio concentration and the performance of emerging market equity funds. Unlike previous studies, on global and US mutual fund, we focus on emerging markets equity, finding funds with higher levels of tracking error, display lower performance than funds with less diversified portfolios when we do not take into account specific concentration in holdings in different multifactor style. The explanatory power of local models that use local explanatory returns is recently investigated by De Groot, Pang and Swinkels (2012), Cakici, Fabozzi and Tan (2013) and Fama and French (2012). Following the same research line, the most remarkable finding of this article is that the fund-picking process, only based on the level of track error from a broad benchmark, can contribute to disappointing results when it is not also accompanied by information about the fund concentration in multiple market segment. According to the previous work, overall, we found that local factor market model provides quite good representation of local average returns for portfolios formed on size and style factors. The contribution of this research is two-fold. First, we examined emerging market funds from the perspective of active management and second, under the effect of strategies mentioned in Huij and Derwall (2011). Moreover, as additional analysis with respect to most of the previous papers, we also tested the effects of the crisis that we found to have not affected the main result.

Can Creditor Bail-in Trigger Contagion? The Experience of an Emerging Market*

2018 ◽  
Vol 23 (6) ◽  
pp. 1155-1180 ◽  
Author(s):  
Roy Havemann
Keyword(s):  
Mutual Funds ◽  
South African ◽  
Financial Institutions ◽  
Emerging Market ◽  
Unintended Consequences ◽  
Financial Contagion ◽  
Money Market Funds ◽  
Level Data ◽  
High Degree ◽  
Instrument Level

Abstract The successful bail-in of creditors in African Bank, a small South African monoline lender, provides an opportunity to evaluate the intended and unintended consequences of new resolution tools. Using a dataset that matches quarterly, daily, and financial-instrument level data, I show that the bail-in led to money-market funds “breaking the buck”, triggering significant redemptions and some financial contagion. To limit potential systemic effects, the authorities used complementary interventions, including imposing discretionary liquidity restrictions on mutual funds and market-making facilities for affected financial instruments. This supported a sustainable restructuring of the bank and reduced financial spillovers. The lesson is that future interventions using these new resolution tools should take into account the potential unintended systemic implications, particularly in smaller jurisdictions where there is a high degree of interconnectedness between bank and nonbank financial institutions.

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